FM406      Half Unit
Topics in Portfolio Management

This information is for the 2021/22 session.

Teacher responsible

Dr Michela Verardo


This course is available on the MSc in Finance (full-time), MSc in Finance (full-time) (Work Placement Pathway), MSc in Finance and Economics, MSc in Finance and Economics (Work Placement Pathway), MSc in Finance and Private Equity and MSc in Finance and Private Equity (Work Placement Pathway). This course is not available as an outside option.


Students must have completed either Asset Markets (FM423) and Corporate Finance (FM422) or Financial Economics (FM436)

Course content

  • Portfolio optimization and the Black-Litterman model
  • Dynamic Investment Strategies
  • Selecting and Monitoring Portfolio Managers: Mutual funds and hedge funds
  • Transactions Costs and Liquidity Risk

The course covers a wide range of topics in portfolio management, with a strong focus on empirical applications. The first part of the course reviews the basics of portfolio theory and develops the Black-Litterman approach to portfolio optimization. The second part of the course introduces students to the implementation of several dynamic investment strategies and to the estimation of their performance; portfolio strategies include size, value, momentum, betting-against-beta, and quality-minus-junk. The third part of the course focuses on selecting and monitoring portfolio managers, with particular emphasis on the identification of selectivity, allocation, and timing skills for mutual funds and hedge funds. The last part of the course examines trading costs and liquidity risk, as well as their impact on the profitability of investment strategies. The course is based on recent empirical studies and applied exercises using financial data.


30 hours of lectures in the LT.

This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.

Formative coursework

Regular coursework will be completed, handed in and marked as part of formative assessment for this course.

Indicative reading

A study pack will include lecture notes and case studies. All relevant articles will be made available during the course. Useful references are: Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin; Modern portfolio theory and investment analysis, by E. J. Elton, M. J.Gruber, S. J. Brown, and W. N. Goetzmann, Wiley Press; Modern investment management, by Bob Litterman and the Quantitative Resource Group, GSAM, Wiley Press.


Continuous assessment (100%) in the LT.

Course selection videos

Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.

Important information in response to COVID-19

Please note that during 2021/22 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.

Key facts

Department: Finance

Total students 2020/21: 72

Average class size 2020/21: 36

Controlled access 2020/21: Yes

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Application of information skills
  • Application of numeracy skills
  • Commercial awareness